Question
ABC stock is currently at 100. In the next period, the price will either increase by by 10% or decrease by 10%. If the risk-neutral
ABC stock is currently at 100. In the next period, the price will either increase by by 10% or decrease by 10%. If the risk-neutral probability of the stock going up is 0.65, what is the price of one month call option at strike price of 102? Please show steps.
$2.00
$5.05
$0.40
$5.20
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Fixed Income Securities Tools For Todays Markets
Authors: Bruce Tuckman, Angel Serrat
4th Edition
1119835550, 978-1119835554
